I’m studying the BSM model and having a look at the greeks. I was reading Derivatives, by Paul Wilmott, and he gives the closed form solutions without making the reader see where these solutions come ...

I would like to know an ideal plan for explaining/representing Greeks (1st,2nd,3rd) order.
The topic seems to be quite vast and very interesting but not possible to cover within a 15 mins time frame,
...

What is the reason (better if it is intuitive, and not too math heavy), that when we talk of Greeks, we consider second derivative with respect to price (gamma), but only first derivative with respect ...

Sometimes, I find an option where the total time value of the option may be 5 cents(rest is intrinsic value) and there are about 15 days to expiry and theta is .08 (8 cents).
How is this possible. If ...

If an option A has higher vega than option B, does that also mean that A has a higher IV than B?
I understand that by definition, a higher vega means that A's price is more sensitive to its IV than B.
...

I saw some textbooks use B-S equation to explain why gamma and theta have opposite signs in most of the cases. For example, John Hull's classic book.
The explanation is, first write B-S equation in ...

It is well known that the theta of call option is always negative. Also, the theta of (at the money call option) goes to infinity as the time approaches to the maturity. On the other hands, (ITM and ...

Why is the gamma for an at the money option less when volatility increases.
Intuitively ,I thought that increasing volatility means more uncertainty,hence the option price will be more sensitive to ...

For a call option, we know that the vega is the derivative of the price wrt to the volatility.
However the volatility, in that context, actually refers to the implied volatility of the specific call ...

I wanted to quickly confirm some simple calculations for the Black 76 greeks and was making use of the formulas on this website:
http://riskencyclopedia.com/articles/black_1976/
I have an issue with ...

how market makers set the time factor to calculate option greeks on the expiration day?
does they set time equal 1/24or 2/24 when only 1hour or 2hour left? what frequency market makers update new time ...

I am trying to figure out the following, for me unfamiliar type of question:
Given is a single asset portfolio: the Delta of the portfolio is 15, the value of the asset is 10 and the daily volatility ...

Could someone give recommendations regarding volatility tools / web sites that they find useful? I am looking for information that my brokerage platform does not provide. Specifically, I want to see ...

When a trader gets conclusion of the volatility is being underestimated (via volatility cone or some other technology), actually there are multiple ways for his trading. (Let's assume the underlying ...

I am looking to find/estimate the "greeks"/option price sensitivities/derivatives for a basket option situation. In specific the change in price of a put option associated with a change in weight of a ...

Engineers put a lot of time and effort in developping high quality finite element (FE) software (deal.II, Dune, Elmer,...).
So I was wondering if some of those tools would be suitable for quantitative ...

I am considering a product composed of 10 underlying assets. The maturity is 5 year. Each year if the performance of the equi-weighted portfolio reach a barrier, it pays a coupon.
My question concern ...

I'm curious about how to construct the five basic greeks for an equity option portfolio when there are shares of the underlying in the portfolio.
For example, a portfolio of 100 call options and 100 ...

I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products ...

Several sources (online and offline) that discuss the delta of a listed vanilla option, state that its delta is a (guesstimate?) of the probability of said option expiring ITM (in the BSM framework).
...

I'm considering exchange traded options of futures on bonds. Options on bond futures are usually American, thus the Black model is out of question. Which is the most imporatant Greek with respect to ...